Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1016
Annualized Std Dev 0.3184
Annualized Sharpe (Rf=0%) -0.3192

Row

Daily Return Statistics

Close
Observations 5468.0000
NAs 1.0000
Minimum -0.2310
Quartile 1 -0.0055
Median 0.0006
Arithmetic Mean -0.0002
Geometric Mean -0.0004
Quartile 3 0.0072
Maximum 0.3491
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0003
Variance 0.0004
Stdev 0.0201
Skewness -0.3497
Kurtosis 42.7257

Downside Risk

Close
Semi Deviation 0.0153
Gain Deviation 0.0147
Loss Deviation 0.0195
Downside Deviation (MAR=210%) 0.0192
Downside Deviation (Rf=0%) 0.0153
Downside Deviation (0%) 0.0153
Maximum Drawdown 0.9624
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0527
Modified VaR (95%) -0.0179
Modified ES (95%) -0.0179
From Trough To Depth Length To Trough Recovery
2007-01-10 2020-03-18 NA -0.9624 3574 3320 NA
2005-02-10 2005-05-02 2006-08-09 -0.3899 377 56 321
2001-07-31 2003-03-14 2003-12-31 -0.3753 581 379 202
2004-02-12 2004-03-24 2005-01-14 -0.1997 234 29 205
1999-01-08 2000-01-25 2001-01-24 -0.1778 436 228 208

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 -0.4 -0.8 0.8 -0.8 0 -0.4 0.8 0 2.1 0 0 0.5
2000 0.9 -0.9 1.3 0.9 0 -1.2 0.8 0 0 -1.2 0 0.4 0.9
2001 -1.2 0.3 0.3 0 0.1 -0.9 -0.1 -0.1 -0.3 0.6 -0.3 0.7 -0.8
2002 -0.1 -0.6 0.6 -0.1 -0.1 -0.6 1.7 0.8 -1.7 0 -0.1 0.3 0.1
2003 1.3 0.9 2.5 -0.2 3.1 -0.6 -3.3 0.7 0.8 0.6 0.4 1.4 7.6
2004 -0.5 1.4 1 0.3 1.7 2.2 1.1 -0.2 1.1 1.4 0.2 0.5 10.6
2005 0.4 2 2.2 -1.7 0.6 0 0.5 1 1.8 1.2 0.8 2.4 11.6
2006 0.1 -2.3 -1.1 2.2 0.6 0.3 0.6 -0.1 0.7 0.5 0.7 -0.4 1.8
2007 -0.5 -0.7 0.7 0.1 1.4 2.1 -1.2 0 3 -1.7 3.4 -2.4 4
2008 2.5 0.7 3 2.4 0.2 0.7 0.3 0.2 4 4.4 0.5 4.8 26.2
2009 -0.8 -1.9 1.6 2.2 3.4 2.8 2.1 -2.5 1 -13.2 0 -1.4 -7.6
2010 1 1.1 1.2 0.3 0.3 0 0.1 -0.5 -0.2 2.5 2.3 1.7 10.2
2011 0.9 0.4 -0.2 0.3 -0.3 1.1 1.5 1.6 1 0.5 -0.3 1 7.9
2012 0.2 -0.3 -0.4 0 -0.7 2.1 2.7 0.8 0.3 0.3 -0.5 0.9 5.4
2013 0.5 0.3 0.5 0.8 0.3 0.4 2.1 0.5 1.5 0.9 -4 1.5 5.4
2014 -0.3 0 1 -0.1 0.9 1.2 -0.2 0.1 -1.1 2.8 0.2 -1.1 3.3
2015 -0.7 0.7 0.2 0.3 0.1 -0.2 -0.5 -1.5 1.2 0.8 0.2 0.5 1
2016 1 0.4 0.1 0.2 0.6 0 0.5 0.1 -0.8 -2.1 0 0 -0.2
2017 0.1 1.6 0.6 1.3 -0.1 1.1 0.3 -0.6 0.3 0.6 -0.4 0.1 4.9
2018 0.1 -1.1 0.5 0 0.6 -0.1 0.4 -0.1 0.3 1.8 1.6 1.6 5.8
2019 0.8 0.4 0.9 0.1 -1 1.1 -0.9 0.6 -0.5 0.7 0.2 0.1 2.4
2020 -0.9 -4.7 -5.8 -1.6 1.8 1.1 -0.1 1.5 0.5 -1 0.5 0.3 -8.5
2021 1.9 1.5 -0.3 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  134. SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  134  SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  134  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  135  SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  132. SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  132  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart